Interest Rates Quantitative Developer

For a major French Investment Bank, we are currently looking to onboard a Quantitative developer Consultant, to join their GM FO IT Risk and PnL. The department consists of around 150 staff, located in London, Paris, New York, Tokyo and Singapore. They develop and support the Risk and PnL front office (FO) systems for global markets (GM) i.e. the recently combined fixed income and equity business. This covers the analytics and distributed grid computation solutions as well as presentation across a comprehensive range of asset classes.

 

With the link to the FO comes a strong and permanent cooperation with GM Quantitative Research teams, to ensure all developments integrate optimally with the IT ecosystem, thereby ensuring the best deliveries to the business

 

Role

 

The bank has launched the very ambitious Digital Transformation plan aiming to strengthen our organisation and adapt CIB to ensure it remains a healthy and sustainable business in the long term, providing solutions to our clients, and core to the Group in its diversified business mix.

 

In this context, the Global Markets Quantitative Research is tasked to build along with the Global Markets IT a new architecture to streamline and harmonize the pricing, risk and P&L chain for interest rate, FX and credit flow products. This is a unique opportunity to work on a major re-engineering plan with very ambitious targets and requires a significant number of experts to work together and deliver this new platform.

 

The role being offered is to participate in this major multi-faceted re-engineering project and work within GM FO IT Risk and PnL as part of the Rates TQD team to help deliver this new platform. The job covers part of the following Digital projects with the prioritization being done by the quant team:

 

  • Become familiar with the bank Risk and P&L Methodology

  • Liaise with quantitative research to adapt Risk and P&L Explain calculation following model changes or to improve P&L Explain for existing models

  • Increase coverage of the platform and help roll it out to users not yet on-boarded (typically in Latam region)

  • Participate in the development of the platform to ensure code base remains production level

  • Generally work in collaboration with Quant Research to ensure high level of availability of the platform

  • Assist traders when they require expert inputs to help them understand their P&L and revenue drivers

 

All tasks above are to be conducted with the supervision of senior RiPL IT developers and the assistance of quantitative research.

 

Essential skills / Systems (Incl. languages & previous experience required)

  • Strong knowledge of fixed income flow products

  • Extensive experience with C# :

    • Participation in large scale projects

    • Object oriented programming

    • MVVM Architecture and WPF framework

  • Comfortable with large scale libraries and working with different profiles (quants, IT etc.)

  • Ability to propose new design patterns and architectures with a strong emphasis on clean and ordered code with a focus on industrialization.

  • Prior experience in front office quantitative research is mandatory

 

 

Personal Attributes

 

  • Good interpersonal skills given the numerous actors in this re-engineering project.

  • Able to work autonomously within the requirements of the project and the quant team.

  • A flexible, hands-on attitude and willingness to make things happen.

Download this description in a PDF format.

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